動(dòng)態(tài)資產(chǎn)價(jià)格理論

內(nèi)容概要

本書為Duffie 教授著名的《動(dòng)態(tài)資產(chǎn)定價(jià)理論》第3版，與前二版相比，本版主要增加的內(nèi)容是第11章公司證券，即將公司的股權(quán)融資、債券融資、違約、破產(chǎn)等結(jié)合在一起來考慮定價(jià)?！　uffie的書一直是一本風(fēng)格比較獨(dú)特的書籍，吸引了眾多的讀者試圖去讀懂和征服它。本版的風(fēng)格仍然與前二版相同，即用數(shù)學(xué)模型來處理金融問題，這樣做的優(yōu)點(diǎn)是可以獲得較為深刻的理論結(jié)果，它的起始讀者群定位于金融專業(yè)的博士研究生。

書籍目錄

PrefacePART Ⅰ DISCRETE-TIME MODELS　1　Introduction to State Pricing　　A Arbitrage and State Prices　　B Risk-Neutral Probabilities　　C Optimality and Asset Pricing　　D Efficiency and Complete Markets　　E Optimality and Representative Agents　　F State-Price Beta Models　　Exercises　　Notes　2  The Basic Multiperiod Model　　A Uncertainty　　B Security Markets　　C Arbitrage, State Prices, and Martingales　　D Individual Agent Optimality　　E Equilibrium and Pareto Optimality.　　F Equilibrium Asset Pricing　　G Arbitrage and Martingale Measures　　H Valuation of Redundant Securities　　I  American Exercise Policies and Valuation 　　j  is Early Exercise Optimal?      Exercises　　Notes　3  The Dynamic Programming Approach 　　A The Bellman Approach　　B First-Order Bellman Conditions  　  C Markov Uncertainty　  D Markov Asset Pricing  　E Security Pricing by Markov Control  　  F Markov Arbitrage-Free Valuation 　  G Early Exercise and Optimal Stopping    Exercises    Notes　4　The Infinite-Horizon Setting　　A Markov Dynamic Programming　　B Dynamic Programming and Equilibrium　　C Arbitrage and State Prices　　D Optimality and State Prices　　E Method-of-Moments Estimation　　Exercises　  NotesPART Ⅱ CONTINUOUS-TIME MODELS　5  The Black-Scholes Model　　A Trading Gains for Brownian Prices  　B Martingale Trading Gains    C Ito Prices and Gains　  D Ito's Formula  　E The Black-Scholes Option-Pricing Formula　　F Black-Scholes Formula: First Try 　　G The PDE for Arbitrage-Free Prices　　H The Feynman-Kac Solution　　I  The Multidimensional Case　　Exercises　　Notes　6　State Prices and Equivalent Martingale Measures 　　A Arbitrage　　B Numeraire Invariance　　C State Prices and Doubling Strategies　　D Expected Rates of Return……7　Term-Structure Models8  Derivative Pricing9  Portfolio and Consumption Choice10  Equilibrium11  Comrporate Securities12  Numerical MethodsAPPENDIXES

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